| Name: | Description: | Size: | Format: | |
|---|---|---|---|---|
| 4.63 MB | Adobe PDF |
Authors
Advisor(s)
Abstract(s)
O stock de habitação constitui urna das principais componentes de riqueza das familias
em Portugal, onde a percentagem dos imóveis residenciais ocupados pelo proprietário
como residência habitual se tem revelado superior à média europeia. No acesso à
aquisição de habitação foi essencial o financiamento obtido junto do sistema bancário
português, tendo o endividamento crescido sobretudo a partir de meados da década de
90. Neste contexto, o conhecimento da evolução média dos preços dos imóveis
residenciais, bem como a existência de instrumentos financeiros de gestão do risco
imobiliário, assume especial importância, quer do ponto de vista macroeconómico,
atendendo aos impactos das variações de preços do stock de habitação sobre as decisões
de consumo e de poupança pelas famílias, quer em termos da gestão do risco imobiliário
pelos proprietários dos imóveis e pelos bancos, e, por consequência, para a estabilidade
do sistema financeiro português.
No presente trabalho propõe-se a criação de índices de preços imobiliários residenciais
para Portugal que possibilitem o conhecimento da evolução média dos preços dos
imóveis residenciais e que possam servir de base à construção de derivados.
Sugere-se a construção de índices de preços com base nos métodos hedónico ou híbrido
- combinação do método hedónico com o método das vendas repetidas - e nos dados
constantes das declarações fiscais sobre transacções e características dos imóveis
residenciais que são centralizados pela Direcção-Geral dos Impostos. É realizada uma
aplicação à Grande Área Metropolitana de Lisboa, para os anos de 2004 a 2007.
Tendo por base a experiência da Chicago Mercantile Exchange, nos Estados Unidos da
América, sugere-se por último a criação, para Portugal, de contratos de futuros sobre
índices imobiliários residenciais.
The housing stock is one of the main wealth components of households in Portugal, where the percentage of dwellings occupied by the owner is above the European average. For the acquisition of residential real estate, the recourse to Portuguese banks' credit was crucial, with the households' indebtedness increasing mostly after the middle 90's. In this context, the availability of indicators on the average price developments of residential real estate markets, as well as of real estate risk management financial instruments, gains a special relevanee. From a macro-economic perspective, this relevance arises namely from the impact of residential real estate price changes on consumers' decisions on consumption and savings. Also, from a risk management perspective, the real estate risk is especially relevant for the real estate owners and the banks, and consequently, for the stability of the Portuguese banking system. In this paper, the creation of residential real estate price índices is proposed for Portugal. These Índices should serve as indicators of the average price developments of residential real estate, and also as underlying to real estate derivatives. The creation of price índices based on hedonic or hybrid methods - combination of the hedonic and the repeat-sales methods - and on the centralised data on transaction prices and on location and physical characteristics of residential real estate, available through the General Directorate of Taxes (Direcção-Geral dos Impostos), is proposed. An empirical study is performed, with the construction of residential real estate price índices, from 2004 to 2007, for the Great Metropolitan Area of Lisbon. Lastly, inspired by the Chicago Mercantile Exchange's housing futures and options, in the United States, the creation of housing futures for Portugal is also proposed.
The housing stock is one of the main wealth components of households in Portugal, where the percentage of dwellings occupied by the owner is above the European average. For the acquisition of residential real estate, the recourse to Portuguese banks' credit was crucial, with the households' indebtedness increasing mostly after the middle 90's. In this context, the availability of indicators on the average price developments of residential real estate markets, as well as of real estate risk management financial instruments, gains a special relevanee. From a macro-economic perspective, this relevance arises namely from the impact of residential real estate price changes on consumers' decisions on consumption and savings. Also, from a risk management perspective, the real estate risk is especially relevant for the real estate owners and the banks, and consequently, for the stability of the Portuguese banking system. In this paper, the creation of residential real estate price índices is proposed for Portugal. These Índices should serve as indicators of the average price developments of residential real estate, and also as underlying to real estate derivatives. The creation of price índices based on hedonic or hybrid methods - combination of the hedonic and the repeat-sales methods - and on the centralised data on transaction prices and on location and physical characteristics of residential real estate, available through the General Directorate of Taxes (Direcção-Geral dos Impostos), is proposed. An empirical study is performed, with the construction of residential real estate price índices, from 2004 to 2007, for the Great Metropolitan Area of Lisbon. Lastly, inspired by the Chicago Mercantile Exchange's housing futures and options, in the United States, the creation of housing futures for Portugal is also proposed.
Description
Mestrado em Economia Monetária e Financeira
Keywords
Imóveis residenciais Índices de preços Método hedónico e híbrido Risco imobiliário Derivados sobre índices de preços imobiliários residenciais Contratos de futuros
Pedagogical Context
Citation
Cardoso, Maria Isabel Carvalho, (2008)." A construção de índices de preços imobiliários residenciais e de derivados sobre índices para Portugal". Dissertação de Mestrado. Universidade de Lisboa, Instituto Superior de Economia e Gestão.
Publisher
Instituto Superior de Economia e Gestão